7/28/13
What is Econometrics?
MFIN6201 Week 1
The science and art of using economic theory and
statistical techniques to analyze economic data.
Part I: Review of Probability
Dr. Konark Saxena
1-2
1
Review of Probability and Statistics
(SW Chapters 2, 3)
Tutorial 3
Group 12
Yiyi Zhao (z5112497)
Chen Peng (z5124645)
Fan Lang (z5125445)
Xubin Liu (z5108979)
Jiangnan Yuan (z5102916)
Deyu Huang (z5086745)
Question 1
Suppose that each of two
investments has a 4% chance of a
loss of $10 million, a 2% chance of
6205 week
4
Presentatio
n
Group 8
1.Question
A company enters into a short futures contract to sell 5,000 bushels of
wheat for 250 cents per bushel. The initial margin is $3,000 and the
maintenance margin is $2,000. What price change would lead to a
margi
MFIN6201
Empirical Techniques and Applications in Finance
Group project
Housekeeping issues
Group projects account for 25% of the overall mark in this module. Groups will be
asked to write and present a report analysing a dataset from a real world example
8/4/2013
A big picture review of where we are
going
Chapter 5
We want to learn about the slope of the population regression
line. We have data from a sample, so there is sampling
uncertainty. There are five steps towards this goal:
1. State the population
8/4/2013
Chapter 4
Outline
Linear
Regression with
One Regressor
1. The population linear regression model
2. The ordinary least squares (OLS)
estimator and the sample regression line
3. Measures of fit of the sample regression
4. The least squares assumpt
7/28/13
Sampling distribution of Y when Y is Bernoulli,
p = 0.78:
MFIN6201 Week 1
Part III: Review of Statistics
Dr. Konark Saxena
1-2
1
Same example: sampling distribution of
Y E (Y )
var(Y )
:
Summary: The Sampling Distribution of Y
2
For Y1,Yn i.i.d. w
Scenario Analysis
Scenario Analysis: A tool to analyze future events by
considering possible outcomes
Possibilities of future outcomes => States of the Economy
(Random Variable)
Probabilities of these outcomes => State Probability
Payoffs at each outcome